The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models Author(s) Morten Ø. Nielsen S Johansen Read more about The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect Author(s) Bent Jesper Christensen Jie Zhu Morten Ø. Nielsen Read more about The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model Author(s) Morten Ø. Nielsen Lealand Morin Read more about Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models Author(s) Morten Ø. Nielsen Read more about Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem Author(s) Morten Ø. Nielsen S Johansen Read more about A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests Author(s) James G. MacKinnon Morten Ø. Nielsen Read more about Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests
Critical Values For Cointegration Tests Author(s) James G. MacKinnon Read more about Critical Values For Cointegration Tests
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration Author(s) Morten Ø. Nielsen Per Houmann Frederiksen Read more about Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration
Finite Sample Accuracy Of Integrated Volatility Estimators Author(s) Morten Ø. Nielsen Per Houmann Frederiksen Read more about Finite Sample Accuracy Of Integrated Volatility Estimators
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots Author(s) Michael Jansson Morten Ø. Nielsen Read more about Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
